Pregnant woman, 2 daughters reported missing in Colorado

"It's like a nightmare I can't wake up from", says the husband of a pregnant woman who, along with the couple's two young daughters, has been missing since Monday.

But late on Wednesday evening, something in the investigation changed, and police arrested Watts, charging him with the murder of his wife and children, according to a brief statement posted to the town's website.

Frederick police recovered two bodies on Thursday afternoon believed to be Bella and Celeste Watts, less than 24 hours after their father was arrested on suspicion of murdering them and their mother.

Shanann and her daughters had been reported missing out of Frederick since Monday.

An Amber Alert for the case was never issued because Shanann Watts' vehicle was found at the family's home in Frederick, a small suburb outside of Denver, authorities said.

He added, "I just want to know why".

"I just don't understand it", she said, reaching out to accept a flower that her daughter picked from a nearby lawn.

Chris Watts spoke with reporters following the disappearance of his family and pleaded for their safe return. "Please keep Shanann's parents and brother in your prayers".

CNN, along with multiple other news outlets, reported that Watts has been charged with "three counts of first-degree murder and three counts of tampering with physical evidence".

"The family are deeply saddened over the inhumane murders of their beloved daughter and sister Shanann, her unborn child and her attractive daughters Bella Marie and Celeste Cathryn".

This month, Shanann took a trip to Arizona to see her family and attend a conference for her new occupation, marketing a "lifestyle system" called Thrive.

At the time of a June 2015 bankruptcy filed jointly with his wife, Christopher Watts listed his employer as Anadarko, stating he had been there for six months at the time.

The arrest of Watts, 33, came after he confessed to killing the three missing females, sources told ABC 7. The same report contends that Shanann and Chris Watts appeared to have a good relationship, citing a Facebook video in which Shanann called her husband the best thing that's ever happened to her.

During a brief court hearing on Thursday, Judge Marcelo Kopcow considered several requests on preservation of evidence made by Watts' lawyer. Chris Watts' work truck that was parked down the road was towed away.

The August 2012 deed shows that Shanann Watts signed it while already living in Colorado.

When asked if they'd had an argument before she vanished, he said: "It wasn't an argument it was an emotional conversation".

"I hope that she's somewhere safe right now with the kids", Watts said.